A Market by Price Order Book for the top 25 levels of depth. E.g. each row represents the top 25 levels from each side of the order book as recorded every time any of the tracked bids/asks of the top 25 levels changed. This allows customers to get visibility of the order book at any point in time without having to reconstruct the order book themselves (at the loss of full depth). This offering is effectively a pre-computed order book managed from processing all ticks to manage the complete order book where snapshots are provided for any price/qty changes on the top 25 levels of the book.
The data format below is available in CSV files accessible using SFTP.
Field | Description |
|---|---|
exchange | Symbol used for the exchange |
base | Base symbol |
quote | Quote symbol |
timestamp (UTC) | Epoch timestamp in microseconds. |
askQty[0] | Ask side quantity at top of book (empty if there aren't any ask quotes) |
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A Market by Price Order Book with full depth of price levels. This is a full tick history allowing customers to reconstruct the whole order book. Snapshots are mixed at regular intervals to avoid customers having to reconstruct the order book from start of day.
See moreA Market by Order level book with complete order activity to construct a full depth order book. Snapshots are mixed at regular intervals to avoid customers having to reconstruct the order book from start of day.
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